Cai, J. and Chi, Y. (2020) Optimal Reinsurance Designs Based on Risk Measures: A Review. Statistical Theory and Related Fields, 4, 1-13.
https://doi.org/10.1080/24754269.2020.1758500

has been cited by the following article:

• TITLE: Dynamic Reinsurance Strategy

  AUTHORS: Miwaka Yamashita

  KEYWORDS: Reinsurance, Stochastic Process, Optimal Dynamic Strategy

  JOURNAL NAME: Journal of Mathematical Finance, Vol.13 No.3, August 9, 2023

  ABSTRACT: In this paper, I consider insurers’ reinsurance strategies to find an optimal reinsurance cover ratio for underwritten insurance exposure. First, I describe the one-period model and the continuous time dynamic model by stochastic differential equation in the same structure. Second, I translate the one-period model solution, where VaR is used as a risk measure (a target function to minimize), into the kinked CRRA utility dynamic model for a reinsurance strategy. Numerical simulations are also performed. I show that the reinsurance premium buffer divided by the variance of underwritten risk and divided by the insurer’s risk averseness indicates the optimal ratio of how much risk should be mitigated by reinsurance.